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Bank Risk Management and the Franchise Value
Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …
Persistent link: https://www.econbiz.de/10005859100
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Die Risikopolitik der Banken in ihrer konkreten Ausgestaltung - Entwurf einer ausformulierten Risikopolitik als Vorlage - 2. Teil
Geiger, Hans - Institut für Schweizerisches Bankwesen <Zürich> - 1999
Die folgende Vorlage will als Hilfe bei der Entwicklung, Formulierung und Überprüfung der Risikopolitk einer Bank …
Persistent link: https://www.econbiz.de/10005857023
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Hybrid Cat-bonds
Barrieu, Pauline; Loubergé, Henri - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Natural catastrophes attract regularly the attention of media and have become a source of public concern. From a financial viewpoint, natural catastrophes represent idiosyncratic risks,diversifiable at the world level. But for reasons analyzed in this pap er reinsurance markets are unable to...
Persistent link: https://www.econbiz.de/10005857781
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An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
integrate the significant factors into any reasonable bank risk, portfolio or capital management framework or approaches for …
Persistent link: https://www.econbiz.de/10005858102
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Some Statistical Pitfalls in Copula Modeling for Financial Applications
Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.
Persistent link: https://www.econbiz.de/10005858145
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Anomalies in Intertemporal Choice?
Gerber, Anke; Rohde, Kirsten I. M. - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper argues that observations of non-stationary choice behavior need notnecessarily imply specific properties of the individual’s discount function. As weshow, the observed “anomalies” in intertemporal choice can alternatively be explained by an individual’s perception of the risk...
Persistent link: https://www.econbiz.de/10005858206
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Bankruptcy law and firms' behavior
Epaulard, Anne; Pommeret, Aude - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The aim of this paper is to study the impact of bankruptcy law on financing, investment, default and liquidation decisions of firms. We build a model in which a firm can finance its investment by issuing debt. The investment is risky. Because of risk, the firm may default. The firm manager takes...
Persistent link: https://www.econbiz.de/10005858212
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Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?
Gibson, Rajna; Habib, Michel; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In spite of the fact that they can draw on a larger, more liquid and more diversifiedpool of capital than the equity of reinsurance companies, financial markets have failed to displace reinsurance as the primary risk-sharing vehicle for natural catastrophe risk. We show that this failure can be...
Persistent link: https://www.econbiz.de/10005858213
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Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10005858246
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The Quantification of Operational Risk
Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical …
Persistent link: https://www.econbiz.de/10005858319